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On the Devroye-Györfi methods of correcting density estimators

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  • Kaluszka, M.

Abstract

Suppose that an estimator f of a density g is not a bona fide density. In 1985 Devroye and Györfi proposed to use the estimator defined by instead of [latin small letter f with hook]. We examine properties of the estimator provided the accuracy of estimation is measured by the Ciszsar divergence. It is shown that is a metric projection of [latin small letter f with hook] onto the set of densities. Moreover, for every density g, the distance between and g is not greater than the distance between [latin small letter f with hook] and g. Correcting the support of an estimator is also discussed.

Suggested Citation

  • Kaluszka, M., 1998. "On the Devroye-Györfi methods of correcting density estimators," Statistics & Probability Letters, Elsevier, vol. 37(3), pages 249-257, March.
    • Handle: RePEc:eee:stapro:v:37:y:1998:i:3:p:249-257
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    1. Puri, Madan Lal & Vincze, István, 1990. "Measure of information and contiguity," Statistics & Probability Letters, Elsevier, vol. 9(3), pages 223-228, March.
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